{"title":"The impact of COVID-19 on sovereign contagion","authors":"Anastasios Drakos, Georgios Moratis","doi":"10.1016/j.jfs.2023.101189","DOIUrl":null,"url":null,"abstract":"<div><p>In the midst of the unprecedented COVID-19 pandemic crisis, the scope of the current study is to outline the channels of shock propagation across sovereigns under these unprecedent conditions. We use a sample of European countries for a period of twelve years that encompasses the COVID-19 as well as the turbulent period of the European debt crisis. We apply Bayesian Vector Autoregressive techniques to show a dramatic increase in sovereign contagion during the outbreak of the COVID-19 pandemic, even higher than the increase recorded during the European Debt crisis. The result works through government response and containment measures. Extensive and severe detachment from any financial fundamentals is evident. The announcements of fiscal and monetary easing measures have eliminated the tension in the markets. When focusing on the period of the pandemic the impact of the national culture emerges through the channel of collectivism.</p></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":null,"pages":null},"PeriodicalIF":6.1000,"publicationDate":"2023-11-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Financial Stability","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S157230892300089X","RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 0
Abstract
In the midst of the unprecedented COVID-19 pandemic crisis, the scope of the current study is to outline the channels of shock propagation across sovereigns under these unprecedent conditions. We use a sample of European countries for a period of twelve years that encompasses the COVID-19 as well as the turbulent period of the European debt crisis. We apply Bayesian Vector Autoregressive techniques to show a dramatic increase in sovereign contagion during the outbreak of the COVID-19 pandemic, even higher than the increase recorded during the European Debt crisis. The result works through government response and containment measures. Extensive and severe detachment from any financial fundamentals is evident. The announcements of fiscal and monetary easing measures have eliminated the tension in the markets. When focusing on the period of the pandemic the impact of the national culture emerges through the channel of collectivism.
期刊介绍:
The Journal of Financial Stability provides an international forum for rigorous theoretical and empirical macro and micro economic and financial analysis of the causes, management, resolution and preventions of financial crises, including banking, securities market, payments and currency crises. The primary focus is on applied research that would be useful in affecting public policy with respect to financial stability. Thus, the Journal seeks to promote interaction among researchers, policy-makers and practitioners to identify potential risks to financial stability and develop means for preventing, mitigating or managing these risks both within and across countries.